Minimax multi-step filtering in statistically uncertain situations

The paper is concerned with problems in estimation of the dynamics of the phase vector of a linear multi-step controlled system which functions in the presence of a disturbance from results of incomplete measurement of the process parameter. The basic minimax filtering relations are given for systems which simultaneously are subjected to probabilistic and uncertain disturbances. Estimation problems are considered for uncertain situations; a particular case of these are the well-known solutions in theory of statistical and minimax filtering. The results also apply to a number of typical situations in parameter identification of statistically uncertain systems.